Copyright © 2005, SAS Institute Inc. All rights reserved. Quantifying and Controlling Operational Risk with SAS OpRisk VaR Donald Erdman April 11, 2005.

Slides:

Advertisements

Similar presentations

COSO I COSO II. Meycor COSO, a Comprehensive Solution for Enterprise Risk Management (ERM)

Advertisements

McGraw-Hill/Irwin Copyright © 2013 by The McGraw-Hill Companies, Inc. All rights reserved. A PowerPoint Presentation Package to Accompany Applied Statistics.

Evaluating Provider Reliability in Risk-aware Grid Brokering Iain Gourlay.

© 2010 Experian Information Solutions, Inc. All rights reserved. 1 Moody’s CreditCycle™ Plus powered by Experian Overview  A comprehensive loss forecasting,

Guidebook for Risk Analysis Tools and Management Practices to Control Transportation Project Costs Keith R. Molenaar, PhD Stuart D. Anderson, PhD, PE Transportation.

Aidan Tuohy Sr. Project Engineer NWPCC Flexibility Metric Roundtable April 2013 Metrics and Methods to Assess Power System Flexibility.

Enterprise-wide risk management & Internal auditing: How can technology help? Rik van de Weerthof Program Manager Risk Management SAS Europe, Middle East.

Full Monte Cost and Schedule Risk Analysis

Copyright © 2005, SAS Institute Inc. All rights reserved. SAS ® Corporate Compliance – A case study for developing reusable J2EE applications Zhiyong Li.

ManageEngine TM Applications Manager 8 Monitoring Custom Applications.

Sydney December 11, 2006 Seite 1 AMAzing Results first lessons from implementations of Basel II RISK 07 Gerhard Stahl, BaFin.

RSM McGladrey, Inc. is a member firm of RSM International – an affiliation of separate and independent legal entities. Operational Risk Management Framework.

Measuring and Managing Operational Risk. 2 Assessing Operational Risk Exposure Required Process of Continuous Risk Assessment, Monitoring and Reporting.

May 19, 2005 Managing a Global Catastrophe Portfolio CARe.

Assessing & Measuring Operational Risk Why COSO is Inappropriate ISDA PRMIA London, United Kingdom January 18, 2005 Ali Samad-Khan President, OpRisk Advisory.

A Regulatory Perspective on Operational Risk World Bank Presentation May 20, 2004 Presented by: Eric Rosengren Senior Vice President Federal Reserve Bank.

NCHRP 8-60 Risk Analysis Tools and Management Practices to Control Transportation Project Costs Keith R. Molenaar, PhD Stuart D. Anderson, PhD, PE Transportation.

Solutions for Meter Data Management Layne Nelson Product Manager LODESTAR Corporation Copyright © 2005 LODESTAR Corporation - All Rights Reserved LODESTAR.

Operational Risk Chapter 18

Skybox® Security Solutions for Symantec CCS Comprehensive IT Governance Risk and Access Compliance Management Skybox Security's.

Business Process Performance Prediction on a Tracked Simulation Model Andrei Solomon, Marin Litoiu– York University.

Copyright © 2003, SAS Institute Inc. All rights reserved. Basel II and Beyond… SAS Risk Intelligence Simona Bonghez, PMP Consulting Manager - SAS Institute.

Efficient BI Solution Presented by: Leo Khaskin, PowerCubes Lab Value of Information as Business Asset.

2008 Annual Meeting Assemblée annuelle Annual Meeting Assemblée annuelle Annual Meeting ● Assemblée annuelle 2008 Québec 2008 Annual.

Don Von Dollen Senior Program Manager, Data Integration & Communications Grid Interop December 4, 2012 A Utility Standards and Technology Adoption Framework.

Alternative Measures of Risk. The Optimal Risk Measure Desirable Properties for Risk Measure A risk measure maps the whole distribution of one dollar.

HIT241 - RISK MANAGEMENT Introduction

David N. Wozei Systems Administrator, IT Auditor.

Value at Risk: Market Risk Models Han Zhang Director, Head of Market Risk Analytics Corporate Market and Institutional Risk August 23, 2013 University.

Data Warehouse Overview September 28, 2012 presented by Terry Bilskie.

Abcd Managing and measuring operational risk in an insurance company John Rowland Tillinghast General Insurance Spring Seminar May 2003 Scarman House.

Managing Operational Risk Within Your Treasury Environment.

Copyright © 2002, SAS Institute Inc. All rights reserved. SAS is a registered trademark or trademark of SAS Institute Inc. in the USA and other countries.

Copyright 2014 Open Networking User Group. All Rights Reserved Confidential Not For Distribution Six Steps To A Common Open Networking Ecosystem Common.

Hallgrímur Snorrason Management seminar on global assessment Session 8: Planning, programming and priority setting under budgetary restraints; human resource.

CIA Annual Meeting LOOKING BACK…focused on the future.

Delivering Integrated, Sustainable, Water Resources Solutions Monte Carlo Simulation Robert C. Patev North Atlantic Division – Regional Technical Specialist.

Copyright © 2008, SAS Institute Inc. All rights reserved. Interactive Analysis and Data Visualization Using JMP −Dara Hammond, Federal Systems Engineer.

Business Insight Services Where Does Location Intelligence Fit in An Enterprise Data Mining/BI Strategy? Tim Pletcher

2006 General Meeting Assemblée générale 2006 Chicago, Illinois 2006 General Meeting Assemblée générale 2006 Chicago, Illinois Canadian Institute of Actuaries.

Estimating Credit Exposure and Economic Capital Using Monte Carlo Simulation Ronald Lagnado Vice President, MKIRisk IPAM Conference on Financial Mathematics.

Managing Overconfidence Douglas J. Collins, FCAS, MAAA Tillinghast London (Tel: 44 (0) ) CAE Zurich – 23 April.

Copyright © 2004, SAS Institute Inc. All rights reserved. SAS Stored Processes An analyst’s perspective Sylvain Tremblay SAS Canada 24 February 2006.

1 Economic Benefits of Integrated Risk Products Lawrence A. Berger Swiss Re New Markets CAS Financial Risk Management Seminar Denver, CO, April 12, 1999.

TDQ 5.1.0M2 – Upgrade SpagoBI Talend, Global Leader in Open Source Integration Solutions.

 Measures the potential loss in value of a risky asset or portfolio over a defined period for a given confidence interval  For example: ◦ If the VaR.

Credit Risk Losses and Credit VaR

2 Copyright © Oracle Corporation, Private and Confidential. All rights reserved. What is Corporate Performance Management? CPM encompasses three.

Operational Risk. Introduction operational risk has proved to be an important cause of financial losses. Indeed, most financial disasters can be attributed.

1 Impact of Sample Estimate Rounding on Accuracy ERCOT Load Profiling Department May 22, 2007.

Operational Risk Chapter XX. What Is Operational Risk? Operational risk is the risk of loss resulting from inadequate or failed internal processes, people,

Prepare for the Possibility: Response and Recovery Steve Goddard Computer Science & Engineering University of Nebraska-Lincoln.

Monitoreo y Administración de Infraestructura Fisica (DCIM). StruxureWare for Data Centers 2.0 Arturo Maqueo Business Development Data Centers LAM.

Copyright © 2012, SAS Institute Inc. All rights reserved. SAS ENVIRONMENT MANAGER CARMINE VERRELLI - TECHNICAL TRAINING SPECIALIST.

Project Management – PTM712S

Electric Power System Reliability

HOW MUCH RISK IS ASSOCIATED WITH IT HYGIENE USING FAIR?

External Web Services Quick Start Guide

Introduction to Estimating Population Means

Risk Mgt and the use of derivatives

Measurement of Operational Risk

Performance Load Testing Case Study – Agilent Technologies

Operational Risk Chapter 20

CPM, PERT & Schedule Risk Analysis in Construction

Data Warehouse Overview September 28, 2012 presented by Terry Bilskie

Risk Adjusted Project Schedules

DAT381 Team Development with SQL Server 2005

University of Maryland Robert H. Smith School of Business

Program & Project Risks and Reporting with Oracle Primavera Cloud

Presentation transcript:

Copyright © 2005, SAS Institute Inc. All rights reserved. Quantifying and Controlling Operational Risk with SAS OpRisk VaR Donald Erdman April 11, 2005

Copyright © 2005, SAS Institute Inc. All rights reserved. 2 Agenda  Motivation  Background  Demo  Plans

Copyright © 2005, SAS Institute Inc. All rights reserved. 3 Operational Risk Operational risk is defined as the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. This definition includes legal risk, but excludes strategic and reputation risk.  Fire  Fraud  Errors

Copyright © 2005, SAS Institute Inc. All rights reserved. 4 Important Goal  Ensure a company has enough resources to recover from a one in 50 year loss

Copyright © 2005, SAS Institute Inc. All rights reserved. 5  SAS ® OpRisk Monitor Web-based system for collecting, storing, analyzing, tracking and reporting information about: operational loss events, key risk/performance/scale indicators, risk- assessment results, and control assessment scores.  SAS ® OpRisk VaR An application that integrates risk indicators and control assessment scorecard results for dynamic modeling of operational VaR  SAS ® OpRisk Global Data SAS OpRisk Global Data is the world’s largest, most comprehensive, and most accurate repository of information on publicly reported operational losses in excess of US$1 million. SAS ® OpRisk Solution

Copyright © 2005, SAS Institute Inc. All rights reserved. 6 Regulatory Requirements  Utilization of internal data  Combination with external data  Consideration of internal control factors  Integration of expert opinion (Scenario Analysis)  Estimation methodology must accurately represent the Organization’s risk profile.

Copyright © 2005, SAS Institute Inc. All rights reserved. 7 Common Problems  Feasibility in current environment Lack of data Use of thresholds  Consideration of systematic biases. Thresholds Sampling biases

Copyright © 2005, SAS Institute Inc. All rights reserved. 8 Loss Distribution Approach INDIVIDUAL LOSS EVENTS RISK MATRIX FOR LOSS DATA VAR CALCULATION TOTAL LOSS DISTRIBUTION 74,712,345 74,603,709 74,457,745 74,345,957 74,344, , , , ,342 94,458 LOSS DISTRIBUTIONS Frequency of events Severity of loss Annual Aggregate Loss ($) Mean99th Percentile VaR Calculator e.g., Monte Carlo Simulation Engine VaR Calculator e.g., Monte Carlo Simulation Engine

Copyright © 2005, SAS Institute Inc. All rights reserved. 9 Architecture Desktop / Workstation OpRiskVar Database SAS/OpRisk VaR Application (Java) JDBC JRE SAS SAS Server Analytics reporting Configuration Loss Events Monitor Database Configuration Loss Events CSV Files

Copyright © 2005, SAS Institute Inc. All rights reserved. 10 Important Point  Users aren’t just interested in determining what their worst loss could be. They want control over their worst case loss.

Copyright © 2005, SAS Institute Inc. All rights reserved. 11 Demo of SAS OpRisk VaR

Copyright © 2005, SAS Institute Inc. All rights reserved. 12 Future Plans  Consortium Tool  Mixing in Simulation  Frequency Risk Factors  Robust Estimation  Confidence intervals  Incremental loading  SAS data store

Copyright © 2005, SAS Institute Inc. All rights reserved. 13 Copyright © 2005, SAS Institute Inc. All rights reserved. 13